IDEAS home Printed from https://ideas.repec.org/p/rim/rimwps/18-42.html
   My bibliography  Save this paper

Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets

Author

Listed:
  • Costas Milas

    (Management School, University of Liverpool, UK; Rimini Centre for Economic Analysis)

  • Theodore Panagiotidis

    (Department of Economics, University of Macedonia, Greece; Rimini Centre for Economic Analysis)

  • Theologos Dergiades

    (Department of International and European Studies, University of Macedonia, Greece; School of Science and Technology, International Hellenic University, Greece)

Abstract

This paper compares news in Twitter with traditional news outlets and then emphasizes their differential impact on Eurozone's sovereign bond market for a homogeneous news topic. We find a two-way information flow between Twitter's “Grexit” tweets and the respective mentions in traditional news outlets. The influence of Twitter on the traditional news is consistently more prolonged, especially in high-activity periods. We also assess the differential impact of the two news sources on sovereign spreads over and above the impact of economic/financial fundamentals, namely measures of default risk, liquidity risk and global financial risk. Our focus is on the borrowing costs of Eurozone's periphery; for comparison reasons, we also consider France as a core Eurozone country. The effect of Twitter on the Greek sovereign spread is positive and of higher magnitude than that of traditional news outlets. Weak contagion effects are recorded primarily for the case of Portugal and Ireland.

Suggested Citation

  • Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2018. "Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets," Working Paper series 18-42, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:18-42
    as

    Download full text from publisher

    File URL: http://rcea.org/RePEc/pdf/wp18-42.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Cindy K Soo, 2018. "Quantifying Sentiment with News Media across Local Housing Markets," The Review of Financial Studies, Society for Financial Studies, vol. 31(10), pages 3689-3719.
    2. Theologos Dergiades & Costas Milas & Theodore Panagiotidis, 2015. "Tweets, Google trends, and sovereign spreads in the GIIPS," Oxford Economic Papers, Oxford University Press, vol. 67(2), pages 406-432.
    3. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
    4. Hasan, Iftekhar & Jackowicz, Krzysztof & Kowalewski, Oskar & Kozłowski, Łukasz, 2013. "Market discipline during crisis: Evidence from bank depositors in transition countries," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5436-5451.
    5. Carlo Altavilla & Marco Pagano & Saverio Simonelli, 2017. "Bank Exposures and Sovereign Stress Transmission," Review of Finance, European Finance Association, vol. 21(6), pages 2103-2139.
    6. Garcia-de-Andoain, Carlos & Kremer, Manfred, 2017. "Beyond spreads: Measuring sovereign market stress in the euro area," Economics Letters, Elsevier, vol. 159(C), pages 153-156.
    7. Nicola Gennaioli & Alberto Martin & Stefano Rossi, 2014. "Sovereign Default, Domestic Banks, and Financial Institutions," Journal of Finance, American Finance Association, vol. 69(2), pages 819-866, April.
    8. Bedendo, Mascia & Colla, Paolo, 2015. "Sovereign and corporate credit risk: Evidence from the Eurozone," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 34-52.
    9. Gennaioli, Nicola & Martin, Alberto & Rossi, Stefano, 2018. "Banks, government Bonds, and Default: What do the data Say?," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 98-113.
    10. Jean-Marie Dufour & Eric Renault, 1998. "Short Run and Long Run Causality in Time Series: Theory," Econometrica, Econometric Society, vol. 66(5), pages 1099-1126, September.
    11. Rui Fan & Oleksandr Talavera & Vu Tran, 2020. "Social media bots and stock markets," European Financial Management, European Financial Management Association, vol. 26(3), pages 753-777, June.
    12. John D Turner & Qing Ye & Clive B Walker, 2018. "Media Coverage and Stock Returns on the London Stock Exchange, 1825–70," Review of Finance, European Finance Association, vol. 22(4), pages 1605-1629.
    13. Azi Ben-Rephael & Zhi Da & Ryan D. Israelsen, 2017. "It Depends on Where You Search: Institutional Investor Attention and Underreaction to News," The Review of Financial Studies, Society for Financial Studies, vol. 30(9), pages 3009-3047.
    14. repec:zbw:bofitp:2013_021 is not listed on IDEAS
    15. Patrick Augustin & Hamid Boustanifar & Johannes Breckenfelder & Jan Schnitzler, 2018. "Sovereign to Corporate Risk Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 857-891, August.
    16. repec:zbw:bofitp:2014_008 is not listed on IDEAS
    17. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
    18. Wolski, Marcin, 2018. "Sovereign risk and corporate cost of borrowing: Evidence from a counterfactual study," EIB Working Papers 2018/05, European Investment Bank (EIB).
    19. Hailiang Chen & Prabuddha De & Yu (Jeffrey) Hu & Byoung-Hyoun Hwang, 2014. "Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media," The Review of Financial Studies, Society for Financial Studies, vol. 27(5), pages 1367-1403.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marcos González-Fernández & Carmen González-Velasco, 2019. "An approach to predict Spanish mortgage market activity using Google data," Economics and Business Letters, Oviedo University Press, vol. 8(4), pages 209-214.
    2. González-Fernández, Marcos & González-Velasco, Carmen, 2020. "A sentiment index to measure sovereign risk using Google data," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 406-418.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2021. "Does It Matter Where You Search? Twitter versus Traditional News Media," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(7), pages 1757-1795, October.
    2. Breckenfelder, Johannes, 2018. "How is a firm’s credit risk affected by sovereign risk?," Research Bulletin, European Central Bank, vol. 53.
    3. Neyer, Ulrike & Sterzel, André, 2017. "Capital requirements for government bonds: Implications for bank behaviour and financial stability," DICE Discussion Papers 275, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    4. Pandolfi, Lorenzo & Williams, Tomas, 2019. "Capital flows and sovereign debt markets: Evidence from index rebalancings," Journal of Financial Economics, Elsevier, vol. 132(2), pages 384-403.
    5. Carlo Altavilla & Marco Pagano & Saverio Simonelli, 2017. "Bank Exposures and Sovereign Stress Transmission," Review of Finance, European Finance Association, vol. 21(6), pages 2103-2139.
    6. Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2019. "Winners and losers from Sovereign debt inflows: evidence from the stock market," Economics Working Papers 1693, Department of Economics and Business, Universitat Pompeu Fabra.
    7. To, Thomas Y. & Wu, Eliza & Zhang, Lambert, 2022. "Mind the sovereign ceiling on corporate performance," Journal of Corporate Finance, Elsevier, vol. 75(C).
    8. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
    9. Fornari, Fabio & Zaghini, Andrea, 2022. "It’s not time to make a change: Sovereign fragility and the corporate credit risk," Journal of International Money and Finance, Elsevier, vol. 128(C).
    10. Carlos Alberto Piscarreta Pinto Ferreira, 2023. "Drivers of Sovereign Bond Demand – The Case of Japans," Working Papers REM 2023/0264, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    11. Crosignani, Matteo & Faria-e-Castro, Miguel & Fonseca, Luís, 2020. "The (Unintended?) consequences of the largest liquidity injection ever," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 97-112.
    12. Breckenfelder, Johannes & Schwaab, Bernd, 2018. "Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 247-262.
    13. Jean Dermine, 2020. "Banks' home bias in government bond holdings: Will banks in low‐rated countries invest in European safe bonds (ESBies)?," European Financial Management, European Financial Management Association, vol. 26(4), pages 841-858, September.
    14. Noel, Dorian M. & Bangwayo-Skeete, Prosper F. & Brei, Michael & Robinson, Justin, 2021. "Sovereign risk spill-overs in the banking sectors of Central America and the Caribbean," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    15. De Marco, Filippo, 2019. "Bank Lending and the European Sovereign Debt Crisis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 155-182, February.
    16. Gomez-Puig, Marta & Singh, Manish K. & Sosvilla-Rivero, Simon, 2019. "The sovereign-bank nexus in peripheral euro area: Further evidence from contingent claims analysis," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 1-26.
    17. Affinito, Massimiliano & Albareto, Giorgio & Santioni, Raffaele, 2022. "Purchases of sovereign debt securities by banks during the crisis: The role of balance sheet conditions," Journal of Banking & Finance, Elsevier, vol. 138(C).
    18. Fiordelisi, Franco & Girardone, Claudia & Minnucci, Federica & Ricci, Ornella, 2020. "On the nexus between sovereign risk and banking crises," Journal of Corporate Finance, Elsevier, vol. 65(C).
    19. Dwyer, Gerald P. & Gilevska, Biljana & Nieto, Maria J. & Samartín, Margarita, 2023. "The effects of the ECB’s unconventional monetary policies from 2011 to 2018 on banking assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
    20. Kirschenmann, Karolin & Korte, Josef & Steffen, Sascha, 2020. "A zero-risk weight channel of sovereign risk spillovers," Journal of Financial Stability, Elsevier, vol. 51(C).

    More about this item

    Keywords

    Grexit; Twitter; Traditional news outlets; Sovereign spreads;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rim:rimwps:18-42. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marco Savioli (email available below). General contact details of provider: https://edirc.repec.org/data/rcfeait.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.